Macroaxis considers ProShares UltraShort not very risky given 1 month investment horizon. ProShares UltraShort maintains Sharpe Ratio (i.e. Efficiency) of 0.2843 which implies ProShares UltraShort had 0.2843% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. By analyzing ProShares UltraShort technical indicators you can presently evaluate if the expected return of 0.8386% is justified by implied risk. Please employ ProShares UltraShort Coefficient Of Variation of 773.19, Semi Deviation of 3.27 and Risk Adjusted Performance of 0.0391 to confirm if our risk estimates are consistent with your expectations.
|Investment Horizon||30 Days Login to change|
ProShares UltraShort Market Sensitivity
|As returns on market increase, returns on owning ProShares UltraShort are expected to decrease by larger amounts. On the other hand, during market turmoil, ProShares UltraShort is expected to significantly outperform it.One Month Beta |Analyze ProShares UltraShort Demand TrendCheck current 30 days ProShares UltraShort correlation with market (DOW)|
β = -2.1051
Projected Return Density Against MarketGiven the investment horizon of 30 days, ProShares UltraShort Bloomberg Natrl Gas has beta of -2.1051 indicating as returns on its benchmark rise, returns on holding ProShares UltraShort Bloomberg Natrl Gas are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, ProShares UltraShort is expected to outperform its benchmark. Moreover, ProShares UltraShort Bloomberg Natrl Gas has an alpha of 0.6829 implying that it can potentially generate 0.6829% excess return over DOW after adjusting for the inherited market risk (beta).
Given the investment horizon of 30 days, the coefficient of variation of ProShares UltraShort is 351.77. The daily returns are destributed with a variance of 8.7 and standard deviation of 2.95. The mean deviation of ProShares UltraShort Bloomberg Natrl Gas is currently at 2.25. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23